Comparing Stochastic Systems Using Regenerative Simulation with Common Random Numbers.

Abstract

Suppose two alternative designs for a stochastic system are to be compared. These two systems can be simulated independently or dependently. This paper presents a method for comparing two regenerative stochastic processes in a dependent fashion using common random numbers. A set of sufficient conditions is given that guarantees that the dependent simulations will produce a variance reduction over independent simulations. Numerical examples for a variety of simple stochastic models are included which illustrate the variance reduction achieved. (Author)

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Document Details

Document Type
Technical Report
Publication Date
May 01, 1978
Accession Number
ADA055618

Entities

People

  • Donald Iglehart
  • Philip Heidelberger

Organizations

  • Stanford University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Distribution Functions
  • Four Dimensional
  • Guarantees
  • Intervals
  • Markov Chains
  • Markov Processes
  • Military Research
  • New Jersey
  • New York
  • Numbers
  • Random Variables
  • Random Walk
  • Simulations
  • Simulators
  • Stochastic Processes
  • Two Dimensional
  • United States

Fields of Study

  • Mathematics

Readers

  • Computational Linguistics
  • Mathematical Modeling and Probability Theory.